Browsing by Author "Fadugba, S.E."

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    MELLIN TRANSFORM METHOD FOR THE VALUATION OF AMERICAN POWER PUT OPTION
    (2017-05) Fadugba, S.E.
    An p (Sn t ; t) = 1 2 i Z c+i1 c􀀀i1 K!+1 !(! + 1) e 1 2n2 2(!2+ 1!􀀀 2)(T􀀀t)(Sn t )􀀀!d! + rK 2 i Z c+i1 c􀀀i1 Z T t (Sn t )􀀀! ( Sn y )! ! e 1 2n2 2(!2+ 1 !􀀀 2)(y􀀀t)dyd! 􀀀 q 2 i Z c+i1 c􀀀i1 Z T t (Sn t )􀀀! ( Sn y )!+1 ! + 1 e 1 2n2 2(!2+ 1 !􀀀 2)(y􀀀t)dyd!